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- VAR for Mortgage Backed Securities
- Value at Risk VaR is a mathematical approach for estimating the maximum potential loss of a given portfolio within some field of time with some likelihood of occurrence. Monte Carlo Simulation calculates the potential portfolio loss using market scenarios that were created from historic volatility and correlation estimates. As correlation...
- White papers 2003-01-01
- The Problems with Monte Carlo Simulation
- Monte Carlo simulation has enjoyed a resurgence in financial literature in recent years. This paper explores the reasons why implementing Monte Carlo simulation is very difficult at best and can lead to incorrect decisions at worst. The problem is that the typical assumption set used in Monte Carlo simulation assumes...
- White papers 2001-11-01
- Monte Carlo Simulation: Still Stuck in Low Gear
- Monte Carlo simulation MCS is one of the forecasting methods that is widely recognized as a valuable tool but has been adopted by only a handful of planners. The technology has received extensive coverage in industry publications and has been the subject of numerous conference presentations. This article examines the...
- White papers 2000-01-01
- Monte Carlo Simulation - Are Your Boots In The Water?
- Monte Carlo simulation is a mathematical technique that uses probabilities of occurrences to generate a range of possible answers to problems. This article talks about an incident that where software companies are touting its benefits and the advisor community is locked in a debate as to the mathematical accuracy of...
- White papers 2003-01-01
- Retail Advisers Throw The Dice On Risk Management
- In the contemporary business era, retail financial services are grappling with the challenges posed by myriad risk and uncertainties. They are developing innovative tools to face the same. The Monte Carlo Simulation is one such tool. Monte Carlo Simulation is an analytical technique that predicts expected returns for various asset...
- White papers 2003-05-13
- Retirement Calculator Report Card: Are You Saving Enough?
- We put that question to the six top online retirement calculators and got six different answers. Here's how to use them to get the right answer. ...
- Articles 2009-08-11
- Monte Carlo Simulations Are Not a Bad Bet
- Monte Carlo simulations are drawing some heat due to the tough market conditions over the past several months. But you should still consider these to be valuable tools in constructing a portfolio. by Larry Swedroe
- Blog posts 2009-05-06
Additional Resources
- Monte Carlo Simulation for Schedule Risks
- Research was undertaken to assist practitioners in undertaking Monte Carlo simulation of constuction project schedules. A probabilistic model was developed to translate project characteristics into schedule risk boundaries. This model has been tested in several projects and performed very well. Lessons learned during the application of Monte Carlo simulation to...
- White papers 2003-10-31
- Evaluation of Ag/AgCl-Electrode Standard Potential Uncertainty Used in Primary ph Measurements by Monte Carlo Simulation
- The chemical quantity pH is a quality control parameter used in several industrial processes. Therefore, its proper determination and uncertainty estimation are extremely important to provide reliability and traceability to pH measurements. The uncertainty estimation procedures recommended in ISO-GUM are largely used by several laboratories and institutes. This work compares...
- White papers 2005-06-13
- Pricing American Options: A Comparison of Monte Carlo Simulation Approaches
- A number of Monte Carlo simulation-based approaches have been proposed within the past decade to address the problem of pricing American-style derivatives. The purpose of this paper is to empirically test some of these algorithms on a common set of problems in order to be able to assess the strengths...
- White papers 2000-04-01
- Using Monte Carlo Simulation to Assess and Manage Risk In The Clinical Laboratory
- Managers often are asked to consider opportunities that involve risks. Traditional approaches to evaluating uncertainty fall short of providing a comprehensive view of possible outcomes. Risk analysis techniques using Monte Carlo simulation offer a more sophisticated approach that can help the manager better understand and manage those risks. This article...
- White papers 2003-01-01
- Ibbotson Announces New Spring Workshop Program; Part of the program to cover Monte Carlo simulation and recent NASD rule change
- CHICAGO -- Ibbotson Associates, a leading provider of asset allocation knowledge and tools, today announced its spring workshop program. The new content covers the latest guidance and techniques for developing optimal strategic asset allocations. Specific attention will be given to Monte Carlo simulation and the recent NASD rule change allowing...
- Research articles 2005-03-16
- Are You Modeling What You Intended? Building Capital Market Assumptions for Monte Carlo Simulation
- Monte Carlo is one of the greatest advancements in financial services because it enables us to potentially model uncertainty. It will have utility in many areas beyond financial and retirement planning as it is most commonly used today. Financeware has been analyzing the capital markets, and how Monte Carlo modeling...
- White papers 2003-08-15
- Six Sigma Tolerance Design Case Study: Optimizing an Analog Circuit Using Monte Carlo Analysis
- Managers often are asked to consider opportunities that involve risks. Traditional approaches to evaluating uncertainty fall short of providing a comprehensive view of possible outcomes. Risk analysis techniques using Monte Carlo simulation offer a more sophisticated approach that can help the manager better understand and manage those risks. This article...
- Case studies 2003-01-01
- "Six Sigma Tolerance Design Case Study:Optimizing an Analog Circuit Using Monte Carlo Analysis
- "Tolerance Design is the science of predicting the variation in system performance caused by variations in component values or the environment. This article shows how Monte Carlo simulation can be applied to predict and improve the quality of a system before even one prototype has been built. Using these...
- White papers 2003-01-01
- Monte Carlo Markov Chain Methods For Derivative Pricing
- Derivative security pricing relies increasingly on lattice representations of stochastic processes. When the lattice is of high dimension, exhaustive enumeration becomes conceptually costly. Instead, Monte Carlo simulation is used to estimate lattice value by sampling appropriately from the nodes. Naïve sampling can lead to substantial error in estimation because the...
- White papers 2001-10-01
- Weighted Monte-Carlo Methods for Multi-Asset Equity Derivatives: Theory and Practice
- This document presents a statement of the calibration problem for multi-asset equity derivatives. It then illustrates a weighted Monte Carlo simulation (max-entropy and applies it to Arbitrage Pricing of Basket Options. The presentation then draws a comparison between WMC and Steepest Descent Method. Finally, it provides comments on correlation skew...
- White papers 2002-11-25
- Risk Assessment of Drilling and Completion Operations in Petroleum Wells Using a Monte Carlo and a Neural Network Approach
- Risk analysis and management of petroleum exploration ventures is growing worldwide and many international petroleum companies have improved their exploration performance by using principles of risk analysis in combination with new technologies This paper intends to show how two different methodologies, a Monte Carlo simulation method and a connectionist approach...
- White papers 2005-11-08
- Three-dimensional Monte Carlo simulation of grain growth in zone-refined iron
- The evolution of the grain structure and topological-class distributions in zone-refined iron were modeled using a three-dimensional (3-D) Monte Carlo MC model. The effect of grain size on topological features was examined. The relationship between the topological features of grains and the geometry of their surrounding grains was studied. In...
- Research articles 2001-12-01
- Ibbotson's 2005 Yearbook Features Monte Carlo Simulation Chapter
- CHICAGO -- Recent SEC ruling allowing use of Monte Carlo with clients makes understanding the technique a must E[acute accent]Ibbotson Associates, a leading provider of asset allocation knowledge and tools, today announced its 2005 Stocks, Bonds, Bills, and InflationR Classic Edition Yearbook (SBBIR). For more than a quarter of...
- Research articles 2005-02-23
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